Blender Depth of Field is not working
If you want physically correct Depth of Field, you need to use Cycles render engine.

In Blender Internal you will get nothing, unless you add the effect in post-processing. Enable Compositing and use this node setup:



This reads your scene Z-values and your focal point set from your Camera object and adds the Depth of Field effect by blurring the image.

Also set your F-stop to some reasonable value, so you have something else than a pinhole camera. Only the value in the node has effect, the setting on the camera object is not used with Blender Internal.